Error-correction based panel estimates of the demand for money of selected Asian countries with the extreme bounds analysis
Saten Kumar and
Economic Modelling, 2012, vol. 29, issue 4, 1181-1188
This paper uses the extreme bounds analysis (EBA) of Leamer (1983, 1985) to analyze the robust determinants of the demand for money in a panel of 17 Asian countries for the period 1970 to 2009. These robust determinants are found to be unit root variables. Therefore, cointegration between these variables is tested with a recent time series panel method developed by Westerlund (2007). This method uses the error-correction formulation and has more power against the null of no cointegration. The results show that there is a well-defined long-run demand for money. Using the lagged error correction term from the estimated cointegrating equation, the short-run dynamic relationships are estimated. This paper, thus, suggests some useful guidelines to estimate other relationships with panel data.
Keywords: Demand for money; Extreme bounds analysis; Panel ECM; Structural breaks (search for similar items in EconPapers)
JEL-codes: C33 E41 (search for similar items in EconPapers)
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Working Paper: Error-Correction Based Panel Estimates of the Demand for Money of Selected Asian Countries with the Extreme Bounds Analysis (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:4:p:1181-1188
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